Mehmet BALCILAR

Proceedings Paper | 2004 | Emerging Markets Finance and Trade40 ( 5 )

This paper examines persistence in Turkish inflation rates using data from consumer and wholesale price indices. The inflationary process in Turkey is believed to be highly inertial, which should lead to strongly persistent inflation series. Persistence of seventy-five inflation series at various aggregation levels is examined by estimating models that allow long memory through fractional differencing. The order of fractional differencing is estimated using several semiparametric and maximum likelihood methods. Persistence of each series is evaluated using the time required for a given percentage of the effect of a shock to dissipat . . .e. We find that disaggregate inflation series show no significant persistence. We found that only twelve out of seventy-five series require more than six months for 99 percent of the effect of a shock to dissipate. Thus, the paper finds evidence of spurious long memory due to aggregation. - Keywords: aggregation, fractional differencing, inflation, inertia, long memory models, persistenc More less

Ertuğrul DELİKTAŞ

Proceedings Paper | 2005 | Emerging Markets Finance and Trade41 ( 1 )

The paper examines the macroeconomic performance of 25 transition economies using a comparable data set. In order to see whether transition to a market-based economy increased economic efficiency, technical progress, and total factor productivity (TFP), we estimate efficiency measures for Eastern European and Baltic countries and the republics of the former Soviet Union using stochastic frontier analysis (SFA) and data envelopment analysis as a confirmatory analysis. According to the SFA estimates, the average annual efficiency level for the 25 transition economies is 0.548, and the average annual rate of growth in technical efficie . . .ncy is 1.8 percent for the 1991-2000 period. The average annual technical change in transition economies is -4.3 percent for the period examined. That is, there is no technological progress, but over the period there has been a technological regress. The sum of the rate of change in technical efficiency and technical change implies a 2.5 percent decline in the average annual TFP. These results suggest that, on average, change in technical efficiency is outweighed by the technical regress. - Keywords: convergence, data envelopment analysis, stochastic production frontiers, technical efficiency, total factor productivity, transition economie More less

Mehmet BALCILAR

Proceedings Paper | 2003 | Emerging Markets Finance and Trade39 ( 2 )

There is a growing awareness among financial researchers that the traditional models of asset returns cannot capture essential time series properties of the current stock return data. We examine commonly used models, such as the autoregressive integrated moving average (ARIMA) and the autoregressive conditional heteroskedasticity (ARCH) family, and show that these models cannot account for the essential characteristics of the real Istanbul Stock Exchange and Moscow Stock Exchange returns. These models often fail, and when they succeed, they do at the cost of an increasing number of parameters and structural equations. The measures o . . .f risk obtained from these models do not reflect the true risk to traders, since they cannot capture all key features of the data. In this paper, we offer an alternative framework of analysis based on multifractal models. Compared to the traditional models, the multifractal models we use are very parsimonious and replicate all key features of the data with only three universal parameters. The multifractal models have superior risk evaluation performance. They also produce better forecasts at all scales. The paper also offers a justification of the multifractal models for financial modeling. - Keywords: Key words: fractal Brownian motion, Hö, lder exponent, multifractal market hypothesis, multifractal spectrum, scaling phenomena, statistical self-similarity, Wavelet transfor More less